Konstantinos Spiliopoulos Department of Mathematics and Statistics Boston University 111 Cummington Street, Boston MA 02215 Office: MCS222 Tel: +1-617-353-5209 e-mail: kspiliop_at_math.bu.edu to send me an email replace _at_ by @.

I joined the faculty at the Department of Mathematics and Statistics, Boston University in July 2012. Before moving to Boston, I was at the Division of Applied Mathematics, Brown University as a Prager Assistant Professor since July 2009. I completed my PhD at the Department of Mathematics, University of Maryland at College Park, advised by Professor Mark Freidlin. My undergraduate studies were in Applied Mathematics and Physics at the National Technical University of Athens in Greece (NTUA).

Research interests:

• Asymptotic Problems for Stochastic Processes and Partial Differential Equations (PDE's) such as Multiple Scale Problems and Large Deviations
• Stochastic Optimal Control
• Mathematical Finance: credit risk, systemic risk, risk management, large portfolio asymptotics, stochastic volatility models and option pricing
• Monte Carlo Methods and Development of Rare Event Simulation Methods
• Metastability, Trasitions between Metastable States
• Reaction-Diffusion Equations (RDE's) and Wave Front Propagation
• Interacting Particle Systems
• Statistical Inference for Stochastic Differential Equations and Parameter Estimation

• Curriculum Vitae (Last updated: September 2012)

Publications:

• "Large Deviations and Importance Sampling for Systems of Slow-Fast Motion", 2013, Applied Mathematics and Optimization, Vol. 67, pp. 123–161, [ArXiv preprint]
• "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2012, Mathematical Finance, [ArXiv preprint], to appear.
• "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [ArXiv preprint].
• "Importance Sampling for Multiscale Diffusions", (with Paul Dupuis and Hui Wang), 2012, Multiscale Modeling and Simulation , Vol. 12, No. 1, pp. 1-27, [ArXiv preprint].
• "Large Deviations for Multiscale Diffusions via Weak Convergence Methods", (with Paul Dupuis), 2012, Stochastic Processes and Their Applications, 122, pp. 1947-1987, [ArXiv preprint].
• "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861- 2898, [ArXiv preprint].
• "Rare Event Simulation in Rough Energy Landscapes", (with Paul Dupuis and Hui Wang), 2011, Winter Simulation Conference, article in pdf , accepted.
• "Large Deviations Principle for a Large Class of One-Dimensional Homogeneous Strong Markov Processes", 2010, Journal of Theoretical Probability, [ArXiv preprint], to appear.
• "Wiener Process with Reflection in Nonsmooth Narrow Tubes", 2009, Electronic Journal of Probability, Vol. 14, Paper no. 69, pp. 2011-2037 article in pdf
• "Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Levy Process", 2009, Annales de l'I.S.U.P., Volume 53 - Fascicule 2-3, pp. 3-19 [ArXiv preprint]
• "Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains", (with Mark Freidlin), 2008, Asymptotic Analysis, Volume 59, Number 3-4, pp.227-249 article in pdf
• "A note on the Smoluchowski- Kramers approximation for the Langevin equation with reflection", 2007, Stochastics and Dynamics, Vol. 7, No. 2, pp. 141-153 : article in pdf

Submitted papers:

• "Scaling Limits and Exit Law for Multiscale Diffusions", (with Sergio A. Almada), 2012, [ArXiv preprint], submitted.
• "Fluctuation analysis and short time asymptotics for multiple scales diffusion processes", 2012, submitted.
• "Maximum likelihood estimation for small noise multiscale disffusions", (with Alexandra Chronopoulou), 2013, [ArXiv preprint], submitted.
• "Escaping from an Attractor: Importance Sampling and Rest Points, Part I", (with Paul Dupuis and Xiang Zhou), 2013, [ArXiv preprint], submitted.
• "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2013, [ArXiv preprint], submitted.
• "Filtering the Maximum Likelihood for Multiscale Problems", (with Andrew Papanicolaou), 2013, [ArXiv preprint], submitted.

Other Publications:

• PhD Thesis. "Asymptotic problems for stochastic processes with reflection and related PDE's", University Of Maryland, College Park, USA, May 2009, Thesis
  Advisor: Professor Mark Freidlin.
• M.A. scholarly paper. "The Smoluchowski-Kramers approximation for the Langevin equation with reflection in 1-D", University Of Maryland, College Park, USA, May 2006, Scholarly paper
  Advisor: Professor Mark Freidlin.
• Undergraduate thesis. "Extension of Ito Formulae to Sobolev Spaces and some Applications", National Techincal University of Athens, Greece,June 2004, Thesis in Greek
  Advisor: Professor Ioannis Spiliotis.

Distinctions, Awards and Grants:

• 2012, SIAM travel grant for the 2012 SIAM Conference on Financial Mathematics & Engineering (FM12).
• 2011, IATF travel grant, Brown University.
• 2011, NSF block travel grant for the 16th INFORMS Applied Probability Conference.
• 2008-2009, Monroe Martin Talk Award in the presentation competition of the Spotlight on Graduate Research at the University of Maryland.
• Fall 2008, Awarded Department of Mathematics Dissertation Fellowship, University of Maryland.
• 2007-2008, Seymour Goldberg Paper Award in the written competition of the Spotlight on Graduate Research at the University of Maryland.
• 2007, Levermore Foundation Travel Grant, University of Maryland.
• 2006, Goldhaber Travel Grant, Graduate School, University of Maryland.
• 2004-2006, Block Grant Fellowship from the Department of Mathematics of the University of Maryland.
• 2004-2005, Award from Eygenidio Foundation for outstanding Greek Students that are pursuing graduate studies.
• 2003-2005, Three times awarded from the Technical Chamber of Greece for academic excellence at the School of Applied Mathematics and Physical Sciences of the National Technical University of Athens, Greece.
• 2003-2005, Three times awarded from the Greek State Scholarships Foundation for academic excellence at the School of Applied Mathematics and Physical Sciences of the National Technical University of Athens, Greece.

Invited Talks and Lectures:

• July 8-12, 2013, Session Chair and Speaker at SIAM Annual Meeting, San Diego, California.
• June 9-12, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
• April 2013, Invited lecture at the The 27th New England Statistical Symposium, 27 April 2013
  
• April 2013, Invited lecture at the Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England, 9-11 April 2013
  
• April 2013, Invited lecture at the AMS Sectional Meeting, Boston College, Boston, 6-7 April 2013
  
• March 2013, Invited Talk at the Stochastics Seminar, Mathematics Department, University of Utah
  
• February 2013, Invited Talk at the Stochastics Seminar, Mathematics Department, Worcester Polytechnic Institute
  
• November 2012, Invited Talk at the Seminar of Financial Mathematics, Mathematics Department, University of Michigan, Ann Arbor
  
• October-November 2012, Invited Talk at the Monte Carlo Methods in the Physical and Biological Sciences, Workshop at ICERM, Brown University, Providence
  Title: Escaping from an attractor: importance sampling and rest points.
• October 2012, Session Chair at the 2012 Informs Annual meeting in Phoenix, Arizona
  
• October 2012, Invited Talk at the Probability, PDE and Math Finance Seminar, Department of Mathematics, Rutgers University
  
• October 2012, Invited Talk at the Probability Seminar, Department of Mathematics, MIT
  
• October 2012, Invited Talk at the Probability Seminar, Department of Mathematics and Statistics, UMASS at Amherst
  
• September 2012, Invited Talk at the Data Assimilation Workshop, Oxford-Man Institute, England
  
• July 2012, Invited Talk at the SIAM Conference on Financial Mathematics and Engineering, Minnesota
  Title: Most Likely Path to Systemic Failure.
• July 2012, Invited Talk at the Department of Mathematics, University of California at San Diego
  Title: Large Deviations and Monte Carlo Methods for Problems with Multiple Scales.
• January 2012, Invited Talk at the Department of Statistics & Operations Research, University of North Carolina
  Title: Large Deviations, Metastability and Monte Carlo Methods for Multiscale Problems.
• 12-16 December 2011, Invited Talk at the EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
  Title: Large deviations for multiscale diffusions and fast simulation.
• 17 October 2011, Invited Talk at the Department of Operations Research and Financial Engineering, Princeton University.
  Title: Default clustering in large portfolios and most likely path to failure.
• 5-9 September 2011, Invited Talk at the ENUMATH Conference 2011 Leicester, England.
  Title: Default clustering in large portfolios: typical and atypical events.
• 6-8 July 2011, Invited Talk at the Applied Probability Society Conference, Royal Institute of Technology (KTH),Stockholm, Sweden.
  Title: Large Deviations and Fast Simulation for Multiscale Diffusions and Rough Energy Landscapes.
• April 2011, Invited Talk at the Department of Mathematics at Chicago University.
  Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
• March 2011, Invited Talk at the Department of Mathematics at Stanford University.
  Title: Default clustering in large portfolios: typical and atypical events.
• Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
  Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
• March 2011, Invited Talk at the Department of Applied Physics and Applied Mathematics at Columbia University.
  Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
• Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
  Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
• Oct 2010, Invited Talk at the Rare Event Simulation Workshop in Bordeaux, France.
  Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
• June 2010, Talk at the Department of Mathematics at the University of Minnesota.
  Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
• April 2009, Invited talk at the Department of Mathematics at the University of Illinois at Urbana-Champaign.
  Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
• April 2009, Invited talk at the Department of Statistics at Warwick University.
  Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
• January 2009, Invited talk at the Department of Statistics and Applied Probability and the Center for Financial Mathematics and Statistics (CRFMS) at the University of Santa Barbara.
  Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
• October 2008, Talk at the Applied Partial Differential Equations Research Interaction Team (RIT) at the University of Maryland.
  Title: Reaction-Diffusion Equations in Narrow Domains and Wave Front Propagation.
• September 2008, Invited talk at the School of Applied Mathematics and Physics of the National Technical University of Athens, Greece
  Title: Reaction-Diffusion Equations with Non-Linear Boundary Conditions in Narrow Tubes and Wave Front Propagation.
• May 2008-2007, Invited lectures on Advanced Analytic Methods with Applications (Graduate course at the University of Maryland)
  Title: Lectures in homogenization with probabilistic methods.
• May 2008, Invited talk at the Graduation Conference at the University of Maryland.
  Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
• April 2008, Invited talk at the Graduate Research Interaction Day at the University of Maryland.
  Title: Wave Front Propagation In Narrow Domains.
• November 2007, Talk at the Mathematical Finance Research Interaction Team (RIT) at the University of Maryland.
  Title: Log Prices following General Levy Driven Ornstein- Uhlenbeck Processes.
• September 2007, Invited talk at the Graduate Students Statistics and Probability seminar at the University of Maryland.
  Title: Probabilistic Approach in Homogenization: An Introduction. (presentation)
• September 2007, Invited talk at the Summer School ''De Ludo Aleae'' on probability, Universita' ``La Sapienza'' Roma, Italy.
  Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
• June 2006, Invited talk at the Workshop: Large Scale Stochastic Dynamics and Interaction with Kinetic Theory, Foundation for Research and Technology, Heraklion Crete, Greece.
  Title: The Smoluchowski-Kramers approximation for the Langevin equation with reflection. (presentation)

Workshops and Conferences that I have attended:

• 9-12 June, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
• 20-24 May, 2013, Invited Participant Conference on Asymptotic Problems in Honor of Mark Freidlin's Birthday , Maryland.
• 27 April, 2013, Invited lecture at the The 27th New England Statistical Symposium
  
• 9-11 April, 2013, Invited lecture at the Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England
  
• 6-7 April, 2013, Invited lecture at the AMS Sectional Meeting, Boston College, Boston
  
• January 14-18, 2013, Invited Participant at IMA Annual Program Year Workshop Theory and Applications of Stochastic PDEs, Minnesota, Minneapolis.
• July 8-11, 2012, Speaker at SIAM Conference on Financial Mathematics and Engineering, Minnesota, Minneapolis.
• June 4-8, 2012, Probability, Control and Finance A Conference in Honor of Ioannis Karatzas, Columbia University, New York.
• December 12-16, 2011, Speaker at EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
• September 5-9, 2011, Speaker at ENUMATH Conference 2011 Leicester, England.
• July 6-8, 2011, Speaker at Applied Probability Society Conference, Royal Institute of Technology (KTH),Stockholm, Sweden.
• January 24-28, 2011, Participant at Random Media: Homogenization and Beyond IPAM, UCLA.
• October 28-29, 2010, Invited Speaker at Rare Event Simulation Workshop in Bordeaux, France.
• June 7-18, 2010, Participant at New Mathematical Models in Economics and Finance IMA, University of Minnesota.
• May 6-9, 2010, Participant at Stochastics and Dynamics: Asymptotic Problems CSCAMM, University of Maryland at College Park.
• June 9-13, 2008, Participant at The 12th International Conference on Hyperbolic Problems: Theory, Numerics, Applications CSCAMM, University of Maryland at College Park.
• February 21-22 2008, Participant at the February Fourier Talks at the University of Maryland at College Park.
• April 13-15 2007, Minicourse in C++ by Daniel Duffy: Preparation for a Life in Quantitative Finance.
• October 2006, Participant at the Mathematical Finance Conference in honor of the 60th Birthday of Dilip B. Madan, University of Maryland, College Park, USA.

Seminars that I have co-organized:

• Probability and Statistics seminar, Department of Mathematics and Statistics, Boston University
• Probability seminar, Division of Applied Mathematics, Brown University
• Students Statistics and Probability seminar at University of Maryland at College Park

Graduate Teaching:

• Fall 2011, Topics in Homogenization: Theory and Computation (APMA 2811L-Brown University)
• Fall 2010, Topics on Averaging and Metastability with Applications (APMA 2811G-Brown University)
• Summer 2010, Topics on Survival Analysis (APMA 2980-Brown University, independent study)
• Fall 2009, Asymptotic Problems for Differential Equations and Stochastic Processes (APMA 2811D-Brown University)
• Spring 2008 and Spring 2007, Advanced Analytic methods with applications (Math 648M-University of Maryland at College Park) Lectures in homogenization with probabilistic methods

Undergraduate Teaching:

• Spring 2013, Introduction to Stochastic Processes (MA 583-A1-Boston University)
• Fall 2012, Statistics I (MA 115-B1-Boston University)
• Spring 2012, Operations Research -- Probabilistic Models (APMA 1200-Brown University)
• Spring 2011, Operations Research -- Probabilistic Models (APMA 1200-Brown University)
• Spring 2010, Nonparametric Statistics (APMA 1680-Brown University)
• Summer 2008, Calculus I (Math 140-University of Maryland at College Park)
• 2006 - 2008, Discussion leader for College Algebra (Math 113), Intoduction to Differential Equations (Math 246), Calculus III (Math 241) -University of Maryland at College Park

Other Links:

• National Technical University of Athens ,NTUA
• Hellenic Graduate Student Organisation, Digenis
• Daily News from Greece in Greek,www.in.gr, www.tanea.gr
• Daily News from Greece in English,Athens News Agency
• Sport news from Greece,sport-news